Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 4 5 5
Score 2.08 5.09 9.98
Market Cap (Millions USD) 2761.29 2551.19 2667.13
Predicted Beta 3.5 3.5 3.5
Idiosyncratic Volatility 5.56 7.75 8.51

Annualized return and volatility

IGV
Annualized Return 0.0870
Annualized Std Dev 0.2517
Annualized Sharpe (Rf=0%) 0.3457

Row

Daily Return Statistics

IGV
Observations 4718.0000
NAs 395.0000
Minimum -0.0875
Quartile 1 -0.0065
Median 0.0007
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0083
Maximum 0.1218
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0159
Skewness 0.1368
Kurtosis 4.6815

Downside Risk

IGV
Semi Deviation 0.0113
Gain Deviation 0.0113
Loss Deviation 0.0116
Downside Deviation (MAR=210%) 0.0158
Downside Deviation (Rf=0%) 0.0111
Downside Deviation (0%) 0.0111
Maximum Drawdown 0.6218
Historical VaR (95%) -0.0259
Historical ES (95%) -0.0374
Modified VaR (95%) -0.0235
Modified ES (95%) -0.0339
From Trough To Depth Length To Trough Recovery
2001-07-18 2002-10-07 2007-10-01 -0.6218 1586 310 1276
2007-11-01 2008-11-20 2010-10-26 -0.4981 766 273 493
2011-07-08 2011-08-19 2012-03-13 -0.2630 174 31 143
2018-09-17 2018-12-24 2019-02-22 -0.2245 111 70 41
2015-12-02 2016-02-09 2016-05-27 -0.2151 125 48 77

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IGV
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA -0.8 0.0 -2.2 2.0 0.0 0.0 -1.0
2002 0.1 4.9 0.3 -2.1 0.0 -5.3 -3.4 0.0 1.6 2.8 0.0 0.0 -1.4
2003 0.0 0.0 0.4 1.1 0.0 1.4 -0.6 0.0 2.9 0.0 1.9 0.0 7.2
2004 0.0 1.3 1.2 0.0 -0.6 -1.9 0.0 -0.3 3.8 1.5 2.8 0.0 7.8
2005 0.2 1.1 0.6 0.0 0.5 -0.4 -0.3 -0.5 0.0 0.2 1.5 0.0 3.2
2006 0.1 1.5 0.0 -0.5 0.8 0.0 -1.2 0.6 0.0 -1.2 -1.3 0.0 -1.2
2007 1.0 -0.2 0.0 -0.2 -0.1 0.0 0.7 0.0 0.9 -1.8 0.0 0.0 0.4
2008 2.2 0.0 3.6 3.5 0.0 0.8 0.2 0.0 -2.9 0.0 -7.9 0.0 -0.9
2009 0.0 0.0 1.5 0.2 2.8 0.7 0.0 -1.6 -2.9 0.0 1.8 0.0 2.4
2010 1.1 1.4 -0.1 0.0 -1.4 0.1 0.0 3.1 0.4 -0.1 2.5 0.0 7.2
2011 2.0 -2.5 0.8 0.0 -2.3 0.9 -0.9 -1.6 0.0 -3.1 -0.2 0.0 -6.9
2012 1.9 1.3 0.0 0.9 -3.3 0.0 -0.9 0.0 -1.0 2.3 0.0 0.0 1.2
2013 1.3 1.1 -1.3 -0.6 0.0 0.6 1.5 0.0 0.7 0.0 0.0 0.0 3.3
2014 0.0 0.0 1.7 0.2 0.0 1.2 -1.1 0.0 -1.6 0.0 -0.6 0.0 -0.2
2015 0.0 0.0 -0.5 0.5 0.4 0.3 0.0 -2.9 1.2 0.0 1.1 0.0 0.1
2016 0.4 3.7 0.8 0.0 0.4 0.0 -0.1 0.2 0.0 -0.5 -3.3 0.0 1.5
2017 -0.6 1.7 0.0 0.7 0.7 0.0 0.3 -0.1 0.0 -0.5 -0.4 0.0 1.8
2018 -0.3 -0.8 0.0 0.9 1.6 0.0 0.6 0.0 -0.3 1.0 0.0 0.0 2.7
2019 0.9 0.5 1.4 -1.6 0.0 1.5 -0.1 0.0 -1.1 1.2 0.0 -0.1 2.6

Row

Rolling Performance Chart

Snail Trail Chart